John Piper has a new book out titled When the Darkness Will Not Lift about the Christian's struggle with depression. You can download it for free online.
Speaking of Piper, his sermons on John Newton and William Cowper (who himself suffered severe bouts of depression, not to mention insanity, throughout his life) would be worth listening to as well. They're freely available here in MP3 format. Scroll down to the section "Men of Whom the World Was Not Worthy."
Along the same lines, I found Michael Haykin's sermon on William Cowper equally edifying, particularly his comments on Cowper's hymns "God moves in a mysterious way" and "There is a fountain filled with blood."
I'd also recommend D. Martyn Lloyd-Jones' series of sermons which were subsequently turned into a book called Spiritual Depression.
Of course, the last thing a melancholy, downcast soul needs is a burdensome list of books and other resources to plough through, so please use your discretion.